Condor Options | Tag Archive

Tag Archive | "crossover"

Testing the Vervoort Crossover, Part 1

Tuesday, April 7, 2009

In two recent posts, ThinkScripter (a great new blog that features studies and strategies coded for the thinkScript language used on the thinkorswim platform) discusses a crossover strategy that Sylvain Vervoort originally published last year in Stocks & Commodities magazine. The primary components are two “zero-lag” triple exponential moving averages, using as price data: 1) the standard (high+low+close)/3 and 2) the Heikin-Ashi close (Heikin-Ashi is a method used for an alternate type of candlestick chart). Using a period length of 55 days, the…

Historical and Implied Volatility Crossovers

Tuesday, October 7, 2008

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Because implied volatility is forward-looking, it tends to lead backward-looking historical (or realized) volatility readings. This relationship stands to reason: options prices can and do respond in real time to new information, while any historical measurement – even a short-term one – will by definition lag as day-to-day changes are gradually incorporated into the period under review. The chart above (click to enlarge) displays the 30 day historical volatility (HV; the dotted line) and the nearer-months average implied volatility (IV; the solid…